Contagion Effect of Dollar and Euro on the Indian Stock Market

Santosh Kumar, Raju G and Tanveer Shahab

The IUP Journal of Applied Finance, 2012, vol. 18, issue 3, 84-94

Abstract: The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten years. Sensitivity of dollar and euro is computed using Adler and Dumas (1984) model, along with impulse response function with some modifications.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:18:y:2012:i:3:p:84-94

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